QuantLib_CreditRiskPlus man page

CreditRiskPlus

Synopsis

#include <ql/experimental/risk/creditriskplus.hpp>

Public Member Functions

CreditRiskPlus (const std::vector< Real > &exposure, const std::vector< Real > &defaultProbability, const std::vector< Size > &sector, const std::vector< Real > &relativeDefaultVariance, const Matrix &correlation, const Real unit)
const std::vector< Real > & loss ()
const std::vector< Real > & marginalLoss ()
Real exposure ()
Real expectedLoss () const
Real unexpectedLoss ()
Real relativeDefaultVariance ()
const std::vector< Real > & sectorExposures () const
const std::vector< Real > & sectorExpectedLoss () const
const std::vector< Real > & sectorUnexpectedLoss () const
Real lossQuantile (const Real p)

Detailed Description

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.

Warning

the input correlation matrix is not checked for positive definiteness

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages CreditRiskPlus(3), loss(3), lossQuantile(3), marginalLoss(3), relativeDefaultVariance(3), sectorExpectedLoss(3), sectorExposures(3), sectorUnexpectedLoss(3) and unexpectedLoss(3) are aliases of QuantLib_CreditRiskPlus(3).

Wed Aug 2 2017 Version 1.10 QuantLib